Optimal Portfolio Choice with Cross-Impact Propagators

By Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann

Published 2024-03-18

Everscope rating

1429.3

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Control. Problem types: Portfolio Optimization, Optimal Execution.

arXiv:2403.10273 · Paper rankings

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